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Sensitivity of the fractional Bayes factor to prior distributions
Author(s) -
Conigliani Caterina,
O'hagan Anthony
Publication year - 2000
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315983
Subject(s) - prior probability , bayes factor , mathematics , robustness (evolution) , bayes' theorem , sensitivity (control systems) , measure (data warehouse) , statistics , fraction (chemistry) , index (typography) , bayesian probability , econometrics , computer science , data mining , engineering , biochemistry , chemistry , organic chemistry , electronic engineering , world wide web , gene
The authors derive a measure of the sensitivity of the fractional Bayes factor, an index which is used to compare models when the priors for their respective parameters are improper, or when there is concern about robustness of the prior specification. They prove that in a large class of problems, this measure is a decreasing function of the fraction of the sample used to update the prior distribution before the models are compared.